DBRS Assigns Provisional Ratings to Series Driver Master – Compartment 1

DBRS Ratings Limited (DBRS) has today assigned provisional ratings to the notes to be issued by Driver Master S.A. acting with respect to its Compartment 1 (the issuer) as follows:

-- Series 2015 Class A Notes: AAA (sf)
-- Series 2015 Class B Notes: A (high) (sf)

Please note that several series (designed as 2015-1, 2015-2, 2015-3, etc.) of notes of both classes are expected to be issued bearing the same revolving period maturity date, and thus notes belonging to the same class but to different series will rank pari passu and pro rata. The various Class A Notes and the Class B Notes belonging to the various series are expected to be backed by a pool of receivables related to auto loan contracts granted to German retail and commercial customers of VW Bank GmbH (VW Bank).

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 subordination and a cash reserve.
-- Credit enhancement levels are sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at a AAA (sf) and A (high) (sf) standard respectively for the Class A Notes and the Class B Notes of the various series to be issued by Driver Master S.A. – 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.
-- VW Bank’s 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. DBRS conducted an operational risk review of VW Bank and deems VW Bank as an acceptable servicer.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s “Legal Criteria For European Structured Finance Transactions” methodology.

The above mentioned ratings are provisional. Ratings will be finalised upon receipt of the execution version of the governing transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Notes or may avoid assigning final ratings to the Notes altogether.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: “Rating European Consumer and Commercial Asset-Backed Securitisations.”

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal 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 performance and portfolio data relating to the receivables sourced by Volkswagen Bank GmbH through the transaction arrangers, Commerzbank AG and Volkswagen Financial Services AG. DBRS received historical net loss data relating to VW Bank’s originations by monthly vintage on a cumulative basis going back to 2004 and up to and including 2014. Data was also provided relating to quarterly dynamic arrear from Q3 2008 up to the end of 2014. In addition, DBRS received portfolio stratification tables related to the portfolio provisionally selected by VW Bank as at 28 February 2015 that allowed DBRS to further assess the portfolio. DBRS considers that the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS was not supplied with third party assessments. However, this did not impact the rating analysis.

Data checks were performed and DBRS did not apply additional cash flow stresses in its scenarios.

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.

These ratings concern newly issued financial instruments.

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 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 Rate Used: Base Case PD of 2.11% a 25% and 50% increase on the base case PD.
-- Recovery Rate Used: Base Case Recovery Rate of 50%.
-- Loss Given Default (LGD): Base Case LGD of 50%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:
-- A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).

DBRS concludes that for the Class B Notes:
-- A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (low) (sf).
-- A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to 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: Paolo Conti
Initial Rating Date: 12 June 2015
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: Not applicable; no last rating date.

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

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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.

-- “Rating European Consumer and Commercial Asset-Backed Securitisations.”
-- “Legal Criteria for European Structured Finance Transactions.”
-- “Operational Risk Assessment for European Structured Finance Servicers.”
-- “Derivative Criteria for European Structured Finance Transactions.”
-- “Unified Interest Rate Model Methodology for European Securitisations.”