DBRS Confirms Private Driver 2012-1 GmbH

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the Series 2012-1 notes issued by Private Driver 2012-1 GmbH as follows:

-- Class A at AAA (sf)
-- Class B at AA (sf)

The confirmations are based upon the following analytical considerations:

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

Private Driver 2012-1 GmbH is a securitisation of a pool of auto loan receivables related to new and used motor vehicles originated in Germany by Volkswagen, Audi, SEAT and Skoda dealers. The transaction closed in April 2012.

As of the 21 April 2015 payment date, the 90+ delinquency ratio was 0.29%. The cumulative gross default ratio was 1.10% 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 will reach its target level of 11.00%. As of March 2013, 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, 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 12.0 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 1.00% of the original portfolio balance.

The Account Bank for this transactions is Deutsche Bank AG/London. 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” methodology.

Notes:
All figures are in euros 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 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 30 April 2014, when the ratings of the Class A Notes and Class B Notes were confirmed at AAA (sf) and upgraded to AA (sf) from A (high) (sf), respectively.

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

To assess the impact of the changing 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 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 1.20% and 35%, respectively.
-- The Risk Sensitivity overview below illustrates the expected rating of each Class of Notes 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 for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50%, the ratings for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If both the PD and LGD increase by 50%, the ratings for 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 LGD and 25% increase in PD, expected rating of AAA (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of AAA (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of AAA (sf).
-- 50% increase in LGD and 50% increase in PD, 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 LGD and 25% increase in PD, expected rating of AA (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of AA (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of AA (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of AA (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: 30 April 2012
Initial Rating Committee Chair: Claire Mezzanotte

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

DBRS Ratings Limited
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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
-- Rating European Consumer and Commercial Asset-Backed Securitisations