DBRS Takes Rating Actions on Private Driver 2013-1 UG

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the notes issued by Private Driver 2013-1 UG (the Issuer):

-- Class A notes confirmed at AAA (sf)
-- Class B notes upgraded to AA (sf) from A (high) (sf)

The above-mentioned rating actions are based on the following analytical considerations, as described more fully below:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the August 2015 payment date.
-- Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
-- Current available credit enhancements to the Class A and Class B notes to cover the expected losses.

Private Driver 2013-1 UG is a securitisation of a pool of auto loans receivables related to new and used motor vehicles originated in Germany by Volkswagen, Audi, SEAT and Skoda dealers. The transaction closed in June 2013.

The cumulative gross default ratio (as a percentage of the initial portfolio) has gradually increased and is currently 0.71% as of the August 2015 payment date. Delinquencies have been stable and the current 90+ delinquency ratio is 0.25%.

The Class A Notes are supported by subordination of the Class B Notes, while the Class B Notes are supported by excess spread only. Credit enhancement for the Class A and Class B Notes (as a percentage of the performing portfolio) is currently at the overcollateralisation target of 11.00% and 7.00%, respectively.

The amortising Cash Reserve Fund is equal to EUR 12.0 million. It was 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 Elavon Financial Services Limited. The DBRS private rating of Elavon Financial Services Limited complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in DBRS’s “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”, which can be found on the DBRS website under Methodologies at http://www.dbrs.com/about/methodologies.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. A review of the transaction’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may 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 investor reports provided by Volkswagen Bank GmbH.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information made available to it for the purposes of providing this rating to have been 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 29 August 2014, when DBRS confirmed the rating of AAA (sf) to the Class A notes and A (high) (sf) rating to the Class B notes.

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 with 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 2.27% and 50.00%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A and Class B 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 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 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 be reduced to AA (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 AA (high) (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of AA (sf).

Class B Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf).
-- 50% increase in LGD, expected rating of AA (low) (sf).
-- 25% increase in PD, expected rating of AA (sf).
-- 50% increase in PD, expected rating of AA (low) (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of A (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of A (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of A (low) (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: Alex Garrod
Initial Rating Date: 27 June 2013
Initial Rating Committee Chair: Chuck Weilamann

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 and are as follows:

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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.