DBRS Confirms Private Driver España 2013-1, FTA

DBRS Ratings Limited (DBRS) has today confirmed the Notes issued by Private Driver España 2013-1, FTA as follows:

-- Class A Notes at AAA (sf)
-- Class B Notes at A (high) (sf)

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

-- Portfolio performance, in terms of level of delinquencies and defaults, as of 22 September 2015 payment date.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- Currently available credit enhancement to the Class A Notes and Class B Notes to cover expected losses assumed in line with, respectively, a AAA (sf) and a A (high) (sf) rating level.

Private Driver España 2013-1, FTA is a securitisation of a pool of auto loans receivables related to new and used motor vehicles originated in Spain by Volkswagen, Audi, SEAT and Skoda dealers. The transaction closed in November 2013 and the portfolio is static.

As of the 21 September 2015 payment date, the 90+ delinquency ratio was 0.64%. The cumulative gross default ratio was at 0.24% of the original collateral balance.

The transaction has a sequential/pro rata amortisation structure whereby initially all principal payments from the receivables paid down the Class A Notes until the Class A Notes overcollateralisation reached its target level of 24.20% at the August 2014 payment date. Thereafter, Class A Notes and Class B Notes received principal on a pro rata basis and will continue to do so unless a performance trigger is breached.

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. Credit enhancement is equal to 24.20% and 13.40%, for the Class A Notes and Class B Notes respectively.

The amortising Cash Reserve Fund is equal to EUR 11.25 million (the floor amount) and has been equal to its target level at each payment date. It was funded at closing with an amount equal to 2.0% of the original portfolio balance and was allowed to amortise down to 1.5% of the original portfolio balance.

BNP Paribas Securities Services, Spanish branch (the Account Bank) holds the Treasury Account for the transaction. The DBRS private rating of the Account Bank 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.

On 23 September 2015, DBRS Limited placed the long-term ratings of Volkswagen AG Under Review with Negative Implications. The rating action followed VW’s announcement that, with respect to emissions, 11 million diesel vehicles worldwide generate noticeable deviations between bench-test results and actual road use. For more details, please see the 23 September 2015 press release “DBRS Places Volkswagen Under Review with Negative Implications” on the DBRS website.

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 www.dbrs.com 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 legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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 servicer reports provided by Volkswagen Finance S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. 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 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 8 October 2014, when DBRS confirmed the Class A Notes rating at AAA (sf) and Class B Notes rating at A (high) (sf).

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):
-- 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 5.30% and 48.36%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase 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 LGD and PD increase by 50%, the rating of the Class A Notes would be expected to decrease to AA (high) (sf), all else being equal.

Class A Notes 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 AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, 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: Alexander Garrod
Initial Rating Date: 13 November 2013
Initial Rating Committee Chair: Chuck Weilamann

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

-- 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.